MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS (Q2800003): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS |
scientific article |
Statements
MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS (English)
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14 April 2016
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model-independent arbitrage
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American option
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convex conjugate
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Legendre-Fenchel transformation
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Skorokhod embedding
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